Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0035
Annualized Std Dev 0.1617
Annualized Sharpe (Rf=0%) 0.0215

Row

Daily Return Statistics

Close
Observations 2952.0000
NAs 1.0000
Minimum -0.0838
Quartile 1 -0.0047
Median 0.0001
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0051
Maximum 0.0906
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0102
Skewness -0.3120
Kurtosis 7.2911

Downside Risk

Close
Semi Deviation 0.0074
Gain Deviation 0.0070
Loss Deviation 0.0077
Downside Deviation (MAR=210%) 0.0125
Downside Deviation (Rf=0%) 0.0074
Downside Deviation (0%) 0.0074
Maximum Drawdown 0.3399
Historical VaR (95%) -0.0155
Historical ES (95%) -0.0242
Modified VaR (95%) -0.0161
Modified ES (95%) -0.0294
From Trough To Depth Length To Trough Recovery
2012-10-10 2020-03-23 NA -0.3399 2124 1873 NA
2010-09-07 2010-12-14 2011-08-19 -0.1244 242 70 172
2011-08-22 2011-10-20 2011-12-23 -0.1046 88 43 45
2012-01-24 2012-03-22 2012-07-20 -0.0901 125 42 83
2009-08-04 2009-10-28 2010-01-26 -0.0759 121 61 60

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA 0.1 0 -0.3 1.1 0.3 0.1 -0.2 1.2
2010 0.8 1.3 -0.1 0.7 -0.5 2 0.2 0.9 0 0.4 -0.2 0 5.6
2011 -1 0.6 0.1 0.3 0.6 0 -0.1 -0.1 -2.6 0.9 0 0.6 -0.8
2012 -1.2 -1.4 -0.5 -1 0.1 0.4 0.6 0.4 0 0.4 0.1 -0.8 -3
2013 0.3 0.3 0 0.1 -2.7 0.1 -3.2 0.4 0.6 -0.2 0.3 0.2 -3.8
2014 0.5 0.3 -0.1 0.5 0.2 -0.8 -0.7 -0.2 0.7 0.6 -0.7 -0.8 -0.5
2015 0 0.1 0.6 0.3 -0.4 0.2 0.6 1.2 0.6 -1.2 2.5 0.2 4.8
2016 0.7 -0.9 -1.2 0.2 -0.1 -0.4 0.2 -2.4 -0.7 0.1 -0.4 0.7 -4.2
2017 -0.1 -0.4 0.2 -0.4 0.2 1 2.2 -0.3 -0.3 1.9 0.9 2.6 7.8
2018 -0.9 0.8 -0.2 0.3 -1.1 0.3 -0.2 0 0.9 1 -0.2 2 2.7
2019 0.3 -0.6 0.5 0.8 0.3 0.9 -0.3 -1 -0.1 0.9 0.6 0.7 3.1
2020 0.3 -2 -5.1 -1.5 0.9 1.5 0.5 -0.6 -0.5 -0.7 0 -0.6 -7.7
2021 0.7 1.2 -0.5 NA NA NA NA NA NA NA NA NA 1.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2009-06-26  20   SPY    91.8 -0.0026  -0.0022   0.0101   0.125    -0.284   -0.265   -0.193 GLD    92.3 -0.0002   0.0042 
2 2009-06-29  20   SPY    92.7  0.0094   0.0383   0.0018   0.176    -0.273   -0.252   -0.183 GLD    92.0 -0.0027   0.0166 
3 2009-06-30  20.0 SPY    92.0 -0.0081   0.0291  -0.0298   0.156    -0.282   -0.263   -0.193 GLD    91.2 -0.00930  0.00290
4 2009-07-01  20.0 SPY    92.3  0.0041   0.0245  -0.0266   0.139    -0.281   -0.274   -0.194 GLD    92.4  0.0133   0.0103 
5 2009-07-02  20.0 SPY    89.8 -0.0273  -0.0247  -0.041    0.0765   -0.288   -0.294   -0.205 GLD    91.2 -0.0123  -0.0115 
6 2009-07-06  20.0 SPY    89.8 -0.0001  -0.0222  -0.05     0.0657   -0.289   -0.297   -0.204 GLD    90.8 -0.0054  -0.0166 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart